Introduction

In this practical, we will learn about nonlinear extensions to regression using basis functions and how to create, visualise, and interpret them. Parts of it are adapted from the practicals in ISLR chapter 7.

One of the packages we are going to use is splines. For this, you will probably need to install.packages("splines") before running the library() functions.

library(MASS)
library(splines)
library(ISLR)
library(tidyverse)

First, we specify a seed as usual.

set.seed(45)

Prediction plot

Median housing prices in Boston do not have a linear relation with the proportion of low SES households. Today we are going to focus exclusively on prediction.

Boston %>% 
  ggplot(aes(x = lstat, y = medv)) +
  geom_point() +
  theme_minimal()

First, we need a way of visualising the predictions.

Create a function called pred_plot() that takes as input an lm object, which outputs the above plot but with a prediction line generated from the model object using the predict() method.

Create a linear regression object called lin_mod which models medv as a function of lstat. Check if your prediction plot works by running pred_plot(lin_mod). Do you see anything out of the ordinary with the predictions?

Polynomial regression

The first extension to linear regression is polynomial regression, with basis functions \(b_j(x_i) = x_i^j\) (ISLR, p. 270).

Create another linear model pn3_mod, where you add the second and third-degree polynomial terms I(lstat^2) and I(lstat^3) to the formula. Create a pred_plot() with this model.

The function poly() can automatically generate a matrix which contains columns with polynomial basis function outputs.

Play around with the poly() function. What output does it generate with the arguments degree = 3 and raw = TRUE?

Use the poly() function directly in the model formula to create a 3rd-degree polynomial regression predicting medv using lstat. Compare the prediction plot to the previous prediction plot you made. What happens if you change the poly() function to raw = FALSE?

Piecewise regression

Another basis function we can use is a step function. For example, we can split the lstat variable into two groups based on its median and take the average of these groups to predict medv.

Create a model called pw2_mod with one predictor: I(lstat <= median(lstat)). Create a pred_plot with this model. Use the coefficients in coef(pw2_mod) to find out what the predicted value for a low-lstat neighbourhood is.

Use the cut() function in the formula to generate a piecewise regression model called pw5_mod that contains 5 equally spaced sections. Again, plot the result using pred_plot.

Note that the sections generated by cut() are equally spaced in terms of lstat, but they do not have equal amounts of data. In fact, the last section has only 9 data points to work with:

table(cut(Boston$lstat, 5))

## 
## (1.69,8.98] (8.98,16.2] (16.2,23.5] (23.5,30.7]   (30.7,38] 
##         183         183          94          37           9

Optional: Create a piecewise regression model pwq_mod where the sections are not equally spaced, but have equal amounts of training data. Hint: use the quantile() function.

Piecewise polynomial regression

Combining piecewise regression with polynomial regression, we can write a function that creates a matrix based on a piecewise cubic basis function:

piecewise_cubic_basis <- function(vec, knots = 1) {
  if (knots == 0) return(poly(vec, degree = 3, raw = TRUE))
  
  cut_vec <- cut(vec, breaks = knots + 1)
  
  out <- matrix(nrow = length(vec), ncol = 0)
  
  for (lvl in levels(cut_vec)) {
    tmp <- vec
    tmp[cut_vec != lvl] <- 0
    out <- cbind(out, poly(tmp, degree = 3, raw = TRUE))
  }
  
  out
}

This function does not have comments. Copy - paste the function and add comments to each line. To figure out what each line does, you can first create “fake” vec and knots variables, for example vec <- 1:20 and knots <- 2 and try out the lines separately.

Create piecewise cubic models with 1, 2, and 3 knots (pc1_mod - pc3_mod) using this piecewise cubic basis function. Compare them using the pred_plot() function.

Splines

We’re now going to take out the discontinuities from the piecewise cubic models by creating splines. First, we will manually create a cubic spline with 1 knot at the median by constructing a truncated power basis as per ISLR page 273, equation 7.10.

Create a data frame called boston_tpb with the columns medv and lstat from the Boston dataset.

Now use mutate to add squared and cubed versions of the lstat variable to this dataset.

Use mutate to add a column lstat_tpb to this dataset which is 0 below the median and has value (lstat - median(lstat))^3 above the median. Tip: you may want to use ifelse() within your mutate() call.

Now we have created a complete truncated power basis for a cubic spline fit.

Create a linear model tpb_mod using the lm() function. How many predictors are in the model? How many degrees of freedom does this model have?

The bs() function from the splines package does all the work for us that we have done in one function call.

Create a cubic spline model bs1_mod with a knot at the median using the bs() function. Compare its predictions to those of the tpb_mod using the predict() function on both models.

Create a prediction plot from the bs1_mod object using the plot_pred() function.

Note that this line fits very well, but at the right end of the plot, the curve slopes up. Theoretically, this is unexpected – always pay attention to which predictions you are making and whether that behaviour is in line with your expectations.

The last extension we will look at is the natural spline. This works in the same way as the cubic spline, with the additional constraint that the function is required to be linear at the boundaries. The ns() function from the splines package is for generating the basis representation for a natural spline.

Create a natural cubic spline model (ns3_mod) with 3 degrees of freedom using the ns() function. Plot it, and compare it to the bs1_mod.

Plot lin_mod, pn3_mod, pw5_mod, pc3_mod, bs1_mod, and ns3_mod and give them nice titles by adding + ggtitle("My title") to the plot. You may use the function plot_grid() from the package cowplot to put your plots in a grid.

Programming assignment (optional)

Use 12-fold cross validation to determine which of the 6 methods (lin, pn3, pw5, pc3, bs1, and ns3) has the lowest out-of-sample MSE.

Hand-in

When you have finished the practical,

enclose all files of the project 08_nonlinear_regression.Rproj (i.e. all .R and/or .Rmd files including the one with your answers, and the .Rproj file) in a zip file, and
hand in the zip by PR from your fork here. Try do so as soon as possible. That way we can iron out issues during the next Q&A in Week 9.

Supervised learning: Nonlinear Regression